.png){kind=icon}
返回
Partial moment momentum
.png){kind=icon}
PRE
AI
DOI：10.1016/j.jbankfin.2021.106361.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
While momentum benefits from persistent trends of the market, such strategies are unable to distinguish between upside and downside risk and suffer consequently. We propose a Partial Moment Momentum (PMM) trading strategy that is sensitive to the sign of risk and show risk-adjusted outperformance compared to plain momentum and volatility-adjusted momentum strategies. The outperformance is robust across multiple time periods and in particular during market downturns. Further analysis based on conventional linear factor models shows negligible exposure to factor risk for our PMM portfolio. Finally, the performance of our proposed strategy appears to be enhanced when time series momentum is present and allows for improved risk management by distinguishing between upside and downside risks. (c) 2021 Elsevier B.V. All rights reserved.
Keyword:
Downside risk
Momentum
Partial moments
Portfolio performance
期刊
J
IF:
3.8
论文数:
6.4K
被引数:
2.4W
机构
引用论文
High Incidence of Tuberculosis, Low Sensitivity of Current Diagnostic Scheme and Prolonged Culture Positivity in Four Colombian Prisons. A Cohort Study.png)
PLoS ONE
OAAI
PLoS ONEIF0
OAAI分享收藏
分享收藏分享收藏分享收藏
查看更多内容